AEX-Index MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
12.22%
decreased by 0.34%
1 Week
12.71%
increased by 0.15%
1 Month
13.90%
increased by 1.34%
Analysis last updated: Tuesday, July 21, 2026 at 04:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 41 | |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8330 | 222.96*** |
γ leverage Additional response to negative shocks | 0.1827 | 43.33*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0081 | 4.14*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0435 | 3.90*** |
λ₃ tau persistence Long-term factor persistence | 0.9497 | 73.39*** |
Persistence:
0.924
Half-life:
9 days
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